function SPaths = AssetPaths(S0,mu,sigma,T,NSteps,NReps) % usage: SPaths = AssetPath(S0,mu,sigma,T,NSteps,NReps) % description: returns NReps rows whose entries are a random path % for asset with drift mu, volatility sigma and initial price S0, % starting at t=0 ending with t=T in steps of dt = T/NSteps. SPaths = zeros(NReps,NSteps+1); SPaths(:,1) = S0; dt = T/NSteps; nudt = (mu-0.5*sigma^2)*dt; sidt = sigma*sqrt(dt); for i = 1:NReps for j = 1:NSteps SPaths(i,j+1) = SPaths(i,j)*exp(nudt + sidt*randn); end end